An alternative simulation budget allocation scheme for efficient simulation. (2nd June 2005)

• Record Type: Journal Article
• Authors: Chen, Chun-Hung; Yucesan, Enver
• Is Part Of: International journal of simulation and process modelling. Volume 1:Number 1/2(2005)
• Page Start: 49
• Page End: 57
• Publication Date: 2005-06-02
• Subjects: simulation-based optimisation -- decision making -- uncertainty -- simulation efficiency -- simulation budget allocation -- total computation cost -- simulation quality; Management -- Computer simulation -- Periodicals; Mathematical models -- Periodicals; Operations research -- Periodicals; Simulation methods -- Periodicals; 003.05
• Languages: English
• ISSNs: 1740-2123

Abstract

We present an alternative simulation run allocation scheme for maximising efficiency in simulation experiments for decision making under uncertainty. The issue of simulation efficiency is addressed from two perspectives: we want to minimise the total computation cost, with a constraint that the overall simulation quality must be higher than a desired level; we would like to maximise the simulation quality with the constraint that the total computation cost can not exceed a given budget. While these two problems look different, we show that the solutions to these two problems are identical. Comparisons with other procedures show that our approach can achieve a speedup factor of 3∼4 for a 10-design example. The speedup factor is even higher for problems having a larger number of designs.